hedgingstrategiesusingfutures-資料下載頁
2025-10-09 02:20本頁面
【導(dǎo)讀】Supposethat. CostofAsset=FutureSpotPrice-GainonFutures. GainonFutures=F2-F1. FutureSpotPrice=S2. CostofAsset=S2-(F2-F1). CostofAsset=F1+Basis2. Basis2=S2-F2. Supposethat. PriceRealized=GainonFutures+FutureSpotPrice. Gain=F1-F2. FutureSpotPrice=S2. PriceRealized=S2+F1-F2. PriceRealized=F1+Basis2. Basis2=S2-F2. PriceRealized=CostofAsset. SameFormula. SupposeF1=$105andS1=100. Currentbasis=100-105=-5. IfF2=110andS2=$102. LongHedge. ShortHedge. Futurebasis=102-110=-8. RealizedPrice=105+(-8)=$97. Forimperfecthedge,sethedgeratioto
【正文】 n underlying index that most closely matches the investor’s portfolio 22 Changing Beta ? Let b* = desired beta ? Let b = portfolio beta ? Then N = (b* b)(P/A) (N 0: sell) ? N 0: buy ? If we adopt the above convention, this formula textbook generalizes 23 Reasons for Hedging an Equity Portfolio ? Desire to be out of the market for a short period of time. (Hedging may be cheaper than selling the portfolio and buying it back.) ? Desire to hedge systematic risk (Appropriate when you feel that you have picked stocks that will outperform the market.) 24 Example Value of Samp。P 500 is 1,000 Value of Portfolio is $5 million Beta of portfolio is What position in futures contracts on the Samp。P 500 is necessary to hedge the portfolio? A = 1000x250 = $.25 M N = (0 – )(5)/.25 = 30 contracts (sell) 25 Changing Beta ? What position is necessary to reduce the beta of the portfolio to ? N = (.75 – )(5)/.25 = 15 contracts (sell) ? What position is necessary to increase the beta of the portfolio to ? N = (2 – )(5)/.25 = 10 contracts (buy) 26 Rolling The Hedge Forward ? We can use a series of futures contracts to increase the life of a hedge ? Each time we switch from 1 futures contract to another we incur a type of basis risk
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